Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/64843 
Kompletter Metadatensatz
Erscheint in der Sammlung:
DublinCore-FeldWertSprache
dc.contributor.authorBaltagi, Badi H.en
dc.contributor.authorEgger, Peteren
dc.contributor.authorPfaffermayr, Michaelen
dc.date.accessioned2012-09-26-
dc.date.accessioned2012-10-11T15:55:35Z-
dc.date.available2012-10-11T15:55:35Z-
dc.date.issued2012-
dc.identifier.urihttp://hdl.handle.net/10419/64843-
dc.description.abstractThis paper proposes a generalized panel data model with random effects and first-order spatially autocorrelated residuals that encompasses two previously suggested specifications. The first one is described in Anselin's (1988) book and the second one by Kapoor, Kelejian, and Prucha (2007). Our encompassing specification allows us to test for these models as restricted specifications. In particular, we derive three LM and LR tests that restrict our generalized model to obtain (i) the Anselin model, (ii) the Kapoor, Kelejian, and Prucha model, and (iii) the simple random effects model that ignores the spatial correlation in the residuals. For two of these three tests, we obtain closed form solutions and we derive their large sample distributions. Our Monte Carlo results show that the suggested tests are powerful in testing for these restricted specifications even in small and medium sized samples.en
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x3930en
dc.subject.jelC23en
dc.subject.jelC12en
dc.subject.ddc330en
dc.subject.keywordpanel dataen
dc.subject.keywordspatially autocorrelated residualsen
dc.subject.keywordmaximum-likelihood estimationen
dc.subject.keywordLagrange multiplieren
dc.subject.keywordlikelihood ratioen
dc.subject.stwPanelen
dc.subject.stwRegionen
dc.subject.stwSchätztheorieen
dc.subject.stwTheorieen
dc.titleA generalized spatial panel data model with random effects-
dc.typeWorking Paperen
dc.identifier.ppn726459917en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

Datei(en):
Datei
Größe
877.65 kB





Publikationen in EconStor sind urheberrechtlich geschützt.